Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets
學年 106
學期 2
出版（發表）日期 2018-06-30
作品名稱 Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets
作品名稱（其他語言） 日內大幅價格變化對交易指數期貨重要嗎？中國期貨市場的證據
著者 Min-Yuh Day; Paoyu Huang; Yensen Ni; Yuhsin Chen
單位
出版者
著錄名稱、卷期、頁數 Journal of Financial Studies 26(2), p.139-174
摘要 By employing intraday tick data due to big data concerns, we examine whether investors profit by day trading China Stock Index 300 Futures (C300F) as the C300F index rises (falls) over considerable points in a minute defined as intraday large price change. We argue that the intraday large price change might induce investors to trade the C300F. Results reveal that investors are likely to make profits by taking short positions on the C300F right after the occurrence of the intraday large price change, except when the C300F falls from extremely high points like 20 points in a minute.
關鍵字 day trading;investment strategy;large price changes
語言 en
ISSN 1022-2898
期刊性質 國內
收錄於 TSSCI
產學合作
通訊作者
審稿制度 否
國別 TWN
公開徵稿
出版型式 ,電子版,紙本
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/113690 )

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